This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

A GMM test of the precautionary saving hypothesis with nonexpected-utility preferences

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Myung Hoon Yi
Changkyu Choi

Additional information is available for the following registered author(s):

Abstract

Using GMM estimation with the US data from January 1967 to April 2003, the precautionary saving hypothesis is tested using time-varying consumption uncertainty and a nonexpected-utility model of intertemporal optimal consumption. Overidentifying restrictions of the model specification are also tested for both expected and nonexpected utility using Hansen's J -statistics. It was found that the precautionary saving hypothesis did not hold under expected-utility preferences but did hold partly under nonexpected-utility preferences.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://taylorandfrancis.metapress.com/link.asp?target=contribution&id=X757730407U0310N
File Format: text/html
File Function:
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics.

Volume (Year): 38 (2006)
Issue (Month): 1 (January)
Pages: 71-78
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:taf:applec:v:38:y:2006:i:1:p:71-78

Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/00036846.html

Order Information:
Web: http://www.tandf.co.uk/journals/subscription.html

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Philip Merrigan & Michel Normandin, 1994. "Precautionary Saving Motives: An Assessment from U.K. Time Series of Cross-Sections," Cahiers de recherche CREFE / CREFE Working Papers 29, CREFE, Université du Québec à Montréal.
    Other versions:
  2. Jorion, Philippe & Giovannini, Alberto, 1993. "Time-series tests of a non-expected-utility model of asset pricing," European Economic Review, Elsevier, vol. 37(5), pages 1083-1100, June. [Downloadable!] (restricted)
    Other versions:
  3. Alessandra Guariglia, 2002. "Consumption, habit formation, and precautionary saving: evidence from the British Household Panel Survey," Oxford Economic Papers, Oxford University Press, vol. 54(1), pages 1-19, January.
  4. Doug Steigerwald, 1997. "Consumption Adjustment under Changing Income Uncertainty," University of California at Santa Barbara, Economics Working Paper Series 10-96, Department of Economics, UC Santa Barbara. [Downloadable!]
    Other versions:
  5. Lyhagen, Johan, 1997. "The Effect of Precautionary Saving on Consumption in Sweden," Working Paper 58, National Institute of Economic Research. [Downloadable!]
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? About 1000 journals are listed on RePEc.

This page was last updated on 2009-11-8.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.